• A
  • A
  • A
  • АБB
  • АБB
  • АБB
  • А
  • А
  • А
  • А
  • А
Обычная версия сайта
Контакты

Адрес: Покровский бульвар, д. 11, корпус T, Москва, 109028

Тел.: (+7495) 580-89-19

E-mail: icef@hse.ru

Как добраться >>

Руководство
заместитель директора по академическим вопросам Замков Олег Олегович
Заместитель директора по по науке Никитин Максим Игоревич

Научный семинар МИЭФ, Michael Mcmahon (University of Oxford)

Во вторник, 26 сентября в 16.40 в ауд. 3402 (ул. Шаболовка, 26) прошел научный семинар МИЭФ. 
Докладчик: Michael Mcmahon (University of Oxford)
Тема доклада: "The Long-Run Information Effect of Central Bank Text" совместно с Stephen Hansen, Michael McMahon и Matthew Tong


Тезисы доклада: A large literature has established that qualitative central bank communication moves the nominal yield curve.  However the channel through which learning about future policy rates remains unclear.  We use the unique setting of the Bank of England's Inflation Report (IR) release to address this.  The IR contains detailed information on inflation and output forecasts, which according to standard theory are primary drivers of the short-run policy rate.  Consistent with this view, the forecasts explain a substantial amount of the movement of the yield curve following the IR release, particularly at the short end.  We then use methods from high-dimensional statistics to show that variation in text explains up to 50% of the residual variance in yield curve movements, with particularly strong effects at longer maturities.  This is consistent with communication about long-term economic developments shaping future rate expectations.  

 


Предстоящие семинары МИЭФ

Прошедшие семинары МИЭФ